most citedEfficient parameter estimation for parabolic SPDEs based on a log-linear model for realized volatilities

5 citations · 5 across the 2 of their papers we have counts for

collaborators

2 papers

math.ST2023

Parameter estimation for second-order SPDEs in multiple space dimensions

Patrick Bossert

We analyse a second-order SPDE model in multiple space dimensions and develop estimators for the parameters of this model based on discrete observations of a solution in time and s…

math.ST2022★ 5 cited

Efficient parameter estimation for parabolic SPDEs based on a log-linear model for realized volatilities

Markus Bibinger, Patrick Bossert

We construct estimators for the parameters of a parabolic SPDE with one spatial dimension based on discrete observations of a solution in time and space on a bounded domain. We est…